The sample backtest was for SP500 stocks, its all based on price of stocks in the SP500 at the time, and they were cheap back then. I also tested it on a full database of all US stocks and the returns were similar.
So your saying that its a per trade sharpe ratio ? The rule is I always have no more 5% of equity in each stock, so I have about 20 or so positions open at any one time.
So your saying that its a per trade sharpe ratio ? The rule is I always have no more 5% of equity in each stock, so I have about 20 or so positions open at any one time.